It must be doable, because I've seen them in garden centers and craft stores. I've never done it, because I prefer their natural colors.

Fabric dye works to some degree (dip method) and there are floral dip dyes available. Basically the dried plumes are dipped into the dye solution until somewhat darker than the required colour then hung to re-dry (they lighten when they dry). There is also an absorption method however it would require cutting fresh material and allowing the stems to stand in the solution to absorb the colour thru its stems.

Never tried dying them, but I have used spray paint with good success.